Celsius Global Funds SICAV PLC

Transcription

1 Wealth & Investment Management Celsius Global Funds SICAV PLC An umbrella fund with segregated liability between s Annual Report and Audited Financial Statements for the year ended 30 June 2015

2 Table of Contents General Information 1 Directors Report 4 Independent Auditor s Report 7 Custodian s Report 9 Fondo Doppio Passo 10 Investment Manager s Report 10 Portfolio of Investments as at 30 June Portfolio of Investments as at 30 June Dynamic 17 Investment Manager s Report 17 Portfolio of Investments as at 30 June Portfolio of Investments as at 30 June Dynamic Investment Manager s Report 17 Portfolio of Investments as at 30 June Portfolio of Investments as at 30 June Dynamic Investment Manager s Report 17 Portfolio of Investments as at 30 June Portfolio of Investments as at 30 June Dynamic Investment Manager s Report 17 Portfolio of Investments as at 30 June Portfolio of Investments as at 30 June Diversified Fixed Income Plus Guaranteed Fund 27 Investment Manager s Report 27 Statements of Comprehensive Income 28 Statements of Changes in Net Assets Attributable to Redeemable Participating Shareholders 31 Statements of Financial Position 34 Statements of Cash Flows 37 Notes to the Financial Statements 41 Summary of Material Portfolio Changes 81 Other Information 82

3 General Information The following information is derived from and should be read in conjunction with the full text and definitions section of the Prospectus. The Company had no employees as at 30 June 2015 or 30 June At 30 June 2015, the Company comprised five active sub-funds ( the s ): Launch Date Fondo Doppio Passo 13 June 2006 Dynamic 31 July 2006 Dynamic July 2006 Dynamic July 2006 Dynamic July 2006 Prices The issue price at which Shares of a will be issued on a Dealing Day is calculated by ascertaining the Net Asset Value ("NAV") per Share of the relevant Class on the relevant Dealing Day. The NAV per Share will differ on each Dealing Day. The NAV of a shall be expressed in the currency in which the Shares are designated or in such other currency as the Directors may determine either generally or in relation to a particular Class or in a specific case, and shall be calculated by ascertaining the value of the assets of the and deducting from such value the liabilities of the (excluding Shareholders' equity) as at the valuation point for such Dealing Day. The NAV per Share of a will be calculated by dividing the NAV of the by the number of Shares in the then in issue, or deemed to be in issue, as at the valuation point for such Dealing Day and rounding the result mathematically to two decimal places or such other number of decimal places as may be determined by the Directors from time to time. In the event the Shares of any are further divided into Classes, the NAV per Class shall be determined by notionally allocating the NAV of the amongst the Classes making such adjustments for subscriptions, repurchases, fees, distributions, accumulation or distribution of income and the expenses, liabilities or assets attributable to each such Class (including the gains/losses on and costs of financial instruments employed for currency hedging between the currencies in which the assets of the are designated and the designated currency of the Class, which gains/losses and costs shall accrue solely to that Class) and any other factor differentiating the Classes as appropriate. A Preliminary Charge of up to 4% of the NAV per Share may be charged by the Company for payment to the Distributor on the issue of Shares. A Repurchase Charge of up to 3% of the Repurchase Price of any Class of Shares of a Sub- Fund may be charged by the Company. The amount of the Preliminary or Repurchase Charge (if any), will be set out in the relevant Supplement to the Prospectus for each. The functional currency of each represents the primary economic environment in which the operates and is referred to in the Prospectus and Supplements to the Prospectus for each as the Base Currency. The functional currencies for the active s as at 30 June 2015 are the British Pound and Euro. 1

4 General Information cont/d Net Asset Value ("NAV") The following tables detail the NAV and the NAV per Share as at 30 June 2015 and 30 June 2014: CCY NAV 30 June 15 NAV 30 June 14 NAV 30 June 13 Fondo Doppio Passo 231,498, ,755, ,601,549 Dynamic 13,466,182 15,898,842 16,329,030 Dynamic 70 12,463,957 15,270,253 16,289,727 Dynamic 80 17,861,664 22,001,889 25,256,178 Dynamic 90 12,699,020 16,542,291 19,558,938 Diversified Fixed Income Plus Guaranteed Fund - 549,390, ,858,783 ICI Fund (EUR) ,103,861 Diversified Alpha Fund ,447,113 SEB Garantifond 80 (SEK) SEK ,780,776 SEB Guarantee Fund 80 (EUR) ,070,143 Target Alpha Program 4 (EUR) Fund - - 4,006,149 by Share Class CCY NAV per Share 30 June 15 NAV per Share 30 June 14 NAV per Share 30 June 13 Fondo Doppio Passo Dynamic Dynamic Dynamic Dynamic Diversified Fixed Income Plus Guaranteed Fund ICI Fund (EUR) - Class B Diversified Alpha Fund - Class D Diversified Alpha Fund - Class G Diversified Alpha Fund - Class L CHF Diversified Alpha Fund- Class M CHF SEB Garantifond 80 (SEK) SEK SEB Guarantee Fund 80 (EUR) Target Alpha Program 4 (EUR) Fund - Class A Target Alpha Program 4 (EUR) Fund - Class D US$ Target Alpha Program 4 (EUR) Fund - Class G

5 General Information cont/d Significant events during the year On 14 October 2014, The Malta Financial Services Authority accepted the surrender of the collective investment scheme licences granted in relation to ICI Fund (EUR) and SEB Guarantee Fund 80 (EUR). The Board was saddened to learn of the passing of one of its Directors, Mr. Lino Spiteri, on 14 November Lino had served diligently as a member of the Board since his appointment. He was Minister of Finance between ; Minister of Trade & Economic Planning ( ); Minister of Finance ( ); main Opposition spokesman on Finance and Economics ( ); chairman ( ) and member ( ) of the Public Accounts Committee. He graduated with a Diploma in Social Studies (Distinction), BA (Politics & Economics) (First Class) and an MA from Oxford University. He had acted as Deputy Governor and Chairman of the Central Bank of Malta ( ), Research Officer, Malta Chamber of Commerce ( ) and Head of Publications, Union Press and Editor, Malta News ( ). He was also a member ( ) and chairman ( ) of the Malta-EU Joint Parliamentary Committee. Mr. Spiteri was a financial consultant with a number of private companies. He will be sadly missed by his family, friends and colleagues, and by his fellow Directors of the Board. The following was fully redeemed during the year: Redemption Date Diversified Fixed Income Plus Guaranteed Fund 23 January 2015 There were no other significant events during the year. Significant events after the year end The Board of Directors of the Company resolved to terminate the Fondo Doppio Passo Fund during 2016 and commence the voluntary winding-up of the Company. James de Salis ceased to be an employee of Bank PLC as from 1 August He remains on the Board of the Company. There were no other significant events after the year end date, which require adjustment to or disclosure in the financial statements. 3

6 Directors Report The Directors present their report together with the audited financial statements of Celsius Global Funds SICAV plc (the Company") for the year ended 30 June Principal Activity The Company was incorporated on 28 March 2006 as an open-ended umbrella fund with segregated liability between s. The Company is licensed by the Malta Financial Services Authority ("MFSA") under the Investment Services Act, 1994 and qualifies as a Maltese UCITS, pursuant to the Undertakings for Collective Investment in Transferable Securities and Management Companies Regulations, 2004, which transpose Council Directive 85/611 EEC, as amended. The Company adheres to the requirements under the MFSA Investment Services Rules transposing requirements under the Council Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the co-ordination of laws, regulations, and administrative provisions relating to Undertakings for Collective Investment in Transferable Securities (UCITS Directive) (recast), as amended from time to time, and includes any implementing measures that have been or may be issued thereunder. Books of Account The measures which the Directors have taken to ensure proper books of account are kept are the adoption of suitable policies for recording transactions, assets and liabilities and the appointment of appropriately qualified staff. The books of account of the Company are maintained by State Street Fund Services (Ireland) Limited at 78 Sir John Rogerson's Quay, Dublin 2, Ireland. Review of Business and Future Developments The total net assets attributable to Shareholders as at 30 June 2015 was 311,236,047 (30 June 2014: 875,206,633). Market Summary Global equity markets struggled at the start of the period as diverging monetary policy from major global central banks created uncertainty among investors. However, the launch of the European Central Bank (ECB) s quantitative easing (QE) programme in early 2015 helped global equities to close the period higher. In the US, manufacturing purchasing managers index (PMI) activity rose in September, rounding off the strongest quarter since the financial crisis. The economy went from strength-to-strength, led by construction spending, which rose more than expected in October and by almost 4% during the third quarter, leading small business lending to a record high. The economy added 295,000 jobs in February and the unemployment rate fell from 5.7% to 5.5%. At the March Federal Open Market Committee (Fed) policy meeting, the Fed dropped its pledge to be patient before raising interest rates, opening the door to the first increase in official borrowing costs in nearly a decade; the US dollar reached a 12-year high against the euro. Employers in the US created 223,000 new jobs in April, and the unemployment rate dropped to a seven-year low of 5.4%. In May, the ISM manufacturing growth accelerated, rising to 52.8, retail sales rose by 1.2%, and CPI rose a healthy 0.4%. The economy grew by an annualised rate of 3.7% in the second quarter, up from the first estimate of 2.3%. The second-quarter revision reflected greater corporate investment than previously estimated while the growth in the economy overall was due to strong consumer and government spending, and higher exports. At the start of the period, Europe endured persistently poor data, with low inflation and low growth across the region. The increased use of monetary stimulation by the ECB was extended to a new Targeted Long-Term Refinancing Operation (TLTRO), designed to prompt regional banks to lend more to private businesses. The central bank also moved deposit rates further into negative territory, charging banks 0.2% to deposit funds. Central bank action served to weaken the euro considerably against the US dollar and sterling, providing a boost to exporters. In early 2015, the ECB announced its QE programme and surprised to the upside with a more aggressive liquidity injection programme than expected. A surprise announcement by the Swiss National Bank to remove its policy of capping the Swiss franc against the euro caused the franc to rally strongly. Towards the end of January, Greece s far left Syriza party was elected with a wider majority than expected. A principle agreement of eurozone finance ministers to extend Greece s financial lifeline by four months was agreed in February. Consumer prices in the eurozone scraped out of deflation in April to 0%, up from a rate of -0.1% in March. The eurozone s economy grew by 0.4 per cent in the first quarter as the plunge in energy prices helped spur the region towards a meaningful recovery after years of near stagnation. Inflation in the eurozone turned positive in May after five months of falls or stagnation. Stock markets in Europe saw big falls towards the end of June after Greece closed its banks and imposed capital controls. The move by the Greek authorities came after the ECB decided not to extend emergency funding, and Prime Minister Alexis Tsipras called for a referendum on the issue to be held on 5 July. UK stocks lost ground towards the end of the third quarter as September s reading of manufacturing PMI fell to its lowest level since April However, the economy maintained its positive growth story through the fourth quarter. The UK inflation rate fell from 0.3% in January to 0% in February, the lowest level since records began. The Conservative Party won a majority in the General Election in May, causing the pound to hit a six-year high against the euro while yields on UK debt fell, reflecting Conservative plans to lower the deficit and borrow less than Labour. UK consumer prices index (CPI) inflation turned negative in April for the first time on record, falling to -0.1%. The UK economy grew by 0.4% in the first quarter, boosted by strong performance from the construction industry. Transport costs helped the UK's inflation rate turn positive in May. UK retail sales for May were stronger than expected while the GfK consumer confidence index reached its highest level in more than 15 years. 4

7 Directors Report cont/d Review of Business and Future Developments cont/d Market Summary cont/d Japan s central bank continued to use aggressive monetary easing to kick-start its economy, putting pressure on the yen and boosting export-orientated businesses. This resulted in significant gains for Japanese equities during the fourth quarter without any tangible economic growth. Basic pay in Japan grew at its fastest pace for 15 years in January in a sign that government pressure on companies to boost wages was having an effect. In April, Japan recorded its first trade surplus in three years after the weaker yen boosted exports and cheaper oil prices lowered its import bill while the Nikkei 225 index closed above 20,000, a 15-year high. Japan's current account surplus hit a seven-year high in March, rising to $23.3bn. Growth in the Japanese economy in the first quarter was revised sharply higher, expanding 1.0%. A jump in business spending helped boost growth well above expectations. Emerging markets equities struggled at the start of the period as expectations of rate hikes in the US and a strong US dollar weakened sentiment. In Brazil, significant equity gains came to an end in September on news that incumbent President Rousseff was ahead in election polls. Brazil s central bank raised interest rates to a six-year high of 12.75% in the first quarter as authorities tried to contain inflation. The Brazilian real plunged to a near 11-year low amid concerns that rising political risk could threaten President Rousseff s fiscal austerity plan. China s economy expanded 7% in the first quarter, its slowest pace in six years, highlighting the challenge of finding new growth drivers amid a slowdown in construction and manufacturing. However, the Shanghai Composite index reached its highest level for seven years amid hopes that government economic stimulus action could follow further weak economic data. Mainland Chinese shares plunged towards the end of the period as investors became concerned about another wave of new listings absorbing liquidity in the market. Fixed income rallied in the third quarter despite the more hawkish stance from the US Fed. Ten-year Treasury and Bund yields fell indicating that investors still felt uncertain about the global recovery despite robust data from the US. In an ostensibly risk-on environment, fixed income kept rallying in the final quarter of 2014 as investors balanced risks. Yields across Treasuries, Bunds and Gilts fell in the period, driven by the increasing need for aggressive monetary policy in Europe and Japan. A benign inflation picture in early 2015 saw investors continue to support government bonds around the developed world. Government bond yields in Portugal, Italy and Spain fell to record lows a day after the ECB gave details of its bond-buying plans. Emerging markets bonds slipped in March due to a stronger US dollar and a more volatile geopolitical landscape. In June, as Greece closed its banks and imposed capital controls, bond yields for Italy, Spain and Portugal rose sharply while the yield on German bonds fell. Energy commodities were hit particularly hard over the year. US shale oil supplies outstripped expectations and Iraqi and Libyan production rose despite political unrest in both countries. Commodities had a volatile fourth quarter, led by crude oil, which lost almost half its value since June. The oil price (WTI) broke through USD 50/bbl in January while gold witnessed a strong start to the year, rising over 8%. By the end of the first quarter, however, gold had surrendered all of its gains as investor attention focused on a strengthening US dollar and the timing of the first US interest rate rise in nearly a decade. Oil hit a 2015 high in May, extending its rebound since January to more than 50%, boosted by production shut-ins in OPEC member Libya and signs of growing global demand before falling back again in June. Company Developments There were no s launched during the year ended 30 June The following was fully redeemed during the year: Diversified Fixed Income Plus Guaranteed Fund. Outlook The global economy continues to move more convincingly beyond the US-led soft patch seen at the start of the year. We see the global economy accelerating in the second half of the year, with an increasingly buoyant US private sector at its heart. Trends in consumption and investment are increasingly indistinguishable from pre-crisis trends in the world s most important capitalist economy. Incoming data on Europe continue to suggest the economic recovery is broadening and strengthening with the continued improvement in the credit backdrop likely helpful. We see the economic recovery gaining some momentum as the year progresses, helped along by a brisker pace of international demand with the US at its heart. The drumbeat of US monetary normalisation continues to get a little louder, with rising US wages the key metric to watch we suspect that the US (and the world) has long been ready for higher US interest rates, however capital markets look a little complacent, suggesting investors should be prepared for volatility. Principal Risks A detailed analysis of the risks facing each is included in Note 15 to the financial statements. Results and Dividends The results for the year under review are set out in the Statements of Comprehensive Income. There were no dividends declared during the year ended 30 June 2015 or 30 June Events Since the Year End Refer to the general information section. 5

8 Directors Report cont/d Adherence to the Company's standard licence conditions There were no breaches to the Company's standard licence conditions and there were no regulatory sanctions during the year under review. Directors The Directors of the Company who held office during the year were: Mr. Francis J. Vassallo Mr. James de Salis Mr. Lino Spiteri (until 14 November 2014) Directors and Secretary s interests None of the Directors, their family or the Secretary hold or held any beneficial interest in the Shares of the Company during the year. No Director had at any time during the year or at the year end, a material interest in any contract of significance, in relation to the business of the Company. Statement of Directors Responsibilities The Directors are required by the Maltese Companies Act, 1995 ("Companies Act, 1995") to prepare financial statements which give a true and fair view of the state of affairs of the Company as at the end of each reporting year and of the profit or loss for that year. In preparing the financial statements, the Directors are responsible for: ensuring that the financial statements have been drawn up in accordance with International Financial Reporting Standards as adopted by the EU; selecting and applying appropriate accounting policies; making accounting estimates that are reasonable in the circumstances; ensuring that the financial statements are prepared on the going concern basis unless it is appropriate to presume that the Company will not continue in business as a going concern. The Directors do not believe that it is appropriate to prepare these financial statements on the going concern basis. The Directors confirm that, other than adoption of the going concern basis of accounting they have complied with the above requirements in preparing the financial statements. The Directors are also responsible for designing, implementing and maintaining internal controls as the Directors determine are necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and that comply with the Companies Act, 1995 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended). They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. The financial statements of Celsius Global Funds SICAV plc for the year ended 30 June 2015 are included in the Annual Report 2015, which is published in hard-copy printed form and may be made available on the Investment Manager s website. The Directors are responsible for the maintenance and integrity of the Annual Report on the website in view of their responsibility for the controls over, and the security of, the website. Access to information published on the Company s website is available in other countries and jurisdictions, where legislation governing the preparation and dissemination of financial statements may differ from requirements or practice in Malta. Independent Auditors PricewaterhouseCoopers have indicated their willingness to continue in office and a resolution for their re-appointment will be proposed at the Annual General Meeting. On behalf of the Board Registered office: 188, Old Bakery Street Valletta VLT 1455 Malta 13 October

9 Independent Auditor s Report To the Shareholders of Celsius Global Funds SICAV plc Report on the Financial Statements for the financial year ended 30 June 2015 We have audited the financial statements of Celsius Global Funds SICAV plc on pages 28 to 80, which comprise the statements of financial position as at 30 June 2015, and the statements of comprehensive income, changes in net assets attributable to redeemable participating shareholders and cash flows for the year then ended, and a summary of significant accounting policies and other explanatory information. Directors Responsibility for the Financial Statements As explained more comprehensively in the Statement of directors responsibilities for the financial statements on page 6, the directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards (IFRSs) as adopted by the EU and the requirements of the Maltese Companies Act, 1995 and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing. Those Standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor s judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation of financial statements that give a true and fair view in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the directors, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion the financial statements give a true and fair view of the financial position of the Company as at 30 June 2015, and of its financial performance and its cash flows for the year then ended in accordance with IFRSs as adopted by the EU; and have been properly prepared in accordance with the requirements of the Maltese Companies Act, Emphasis of Matter We draw attention to Note 2.1 to these financial statements on pages 41 and 42, which refers to further sub-funds being fully redeemed subsequent to 30 June The Board of Directors also resolved to terminate in 2016 the last remaining sub-fund, the Fondo Doppio Passo. Accordingly, these financial statements have been prepared on a liquidation basis of accounting. Our opinion is not qualified in respect of this matter. Report on Other Legal and Regulatory Requirements for the financial year ended 30 June 2015 We also have responsibilities under the Maltese Companies Act, 1995 to report to you if, in our opinion: The information given in the directors report is not consistent with the financial statements. Adequate accounting records have not been kept, or that returns adequate for our audit have not been received from branches not visited by us. The financial statements are not in agreement with the accounting records and returns. 7

10 Independent Auditor s Report cont/d To the Shareholders of Celsius Global Funds SICAV plc cont/ Report on Other Legal and Regulatory Requirements for the financial year ended 30 June 2015 cont/d We have not received all the information and explanations we require for our audit. Certain disclosures of directors remuneration specified by law are not made in the financial statements, giving the required particulars in our report. We have nothing to report to you in respect of these responsibilities. 78 Mill Street Qormi Malta Lucienne Pace Ross Partner 13 October

11

12 Fondo Doppio Passo Investment Manager s Report for the year ended 30 June 2015 Investment Objective The investment objective of the is to provide Shareholders with a return linked to the performance of two Baskets, the Traditional Basket and the Diversified Basket* (the Baskets ) comprised of a broad universe of assets that can include equities, bonds, currencies, money markets and emerging markets and on the Scheduled Maturity Date, a payment of an amount at least equal to the Minimum Protection Level. Investment Strategy The will offer Shareholders exposure to a diversified universe of assets by investing in the baskets, each with independent investment methodologies, while applying a dynamic asset allocation strategy that manages the balance of investment in the baskets and a zero bond investment, in order to provide the Minimum Protection Level on the Scheduled Maturity Date. Performance Summary % 1 Month 3 Months 6 Months 12 Months Since Inception Performance (0.75%) (0.67%) (0.09%) 0.29% 33.70% High Low Latest At Inception NAV (EUR) The above performance figures are based on a tradable NAV per Share. * The Traditional Basket is managed by the Portfolio Selection Agent and the Diversified Basket is managed by the Investment Manager Bank plc, acting through Wealth & Investment Management. 10

13 Fondo Doppio Passo Portfolio of Investments as at 30 June 2015 Net Financial Assets at fair value through profit or loss: 95.59% (30/06/14: 97.27%) Money Market Instruments: 27.65% (30/06/14: 25.13%) CCY Principal Amount Description Maturity Date Fair value % of EUR 10,000, % France, Government of T-Bill 23/07/ ,001, EUR 10,000, % France, Government of T-Bill 15/07/ ,000, EUR 10,000, % France, Government of T-Bill 05/08/ ,001, EUR 10,000, % France, Government of T-Bill 26/08/ ,003, EUR 10,000, % France, Government of T-Bill 16/09/ ,004, EUR 14,000, % France, Government of T-Bill 30/09/ ,006, Money Market Instruments 64,018, Collective Investment Schemes*: 28.15% (30/06/14: 26.15%) CCY No. of Shares Description Fair value % of EUR 23,059,460 Institutional Cash Series plc - Institutional Euro Liquidity Fund 23,059, GBP 15,384,957 Institutional Cash Series plc - Institutional Sterling Liquidity Fund 21,715, USD 22,721,742 Institutional Cash Series plc - Institutional US Dollar Liquidity Fund 20,392, Collective Investment Schemes 65,168, Net Financial Derivative Instruments: 39.79% (30/06/14: 45.99%) Funded Swap**: 40.63% (30/06/14: 45.87%) CCY Notional Amount Description Maturity Date Fair value % of EUR 94,009,925 Fondo Doppio Passo ZCB Funded Swap 22/09/ ,052, Funded Swap at positive fair value 94,052, Unfunded Swap**: (0.43%) (30/06/14: 0.02%) CCY Notional Amount Description Maturity Date Fair value % of USD (20,350,000) TRS USD BRGMTRUH 31/05/2016 (100,819) (0.04) USD (26,070,000) TRS USD NDDUWI 01/07/2015 (539,370) (0.23) USD (7,320,000) TRS USD NDUEEGF 01/07/2015 (166,464) (0.07) USD (4,890,000) TRS USD TRNGLU 01/07/2015 (204,228) (0.09) Unfunded Swap at positive fair value (1,010,881) (0.43) Open Futures Contracts***: (0.01%) (30/06/14: 0.20%) No. of Contracts Description Counterparty Euro Stoxx 50 Futures Long Futures Contracts Expiring September 2015 FTSE 100 Index Futures Long Futures Contracts Expiring September 2015 Long Gilt Futures Long Futures Contracts Expiring September 2015 Unrealised Gain % of (24,400) (0.01) (3,707) Unrealised gain on open futures contracts Unrealised loss on open futures contracts (28,107) (0.01) Net unrealised loss on open futures contracts (27,910) (0.01) 11

14 Fondo Doppio Passo Portfolio of Investments as at 30 June 2015 cont/d... Net Financial Assets at fair value through profit or loss: 95.59% (30/06/14: 97.27%) cont/d Net Financial Derivative Instruments: 39.79% (30/06/14: 45.99%) cont/d Open Forward Foreign Exchange Currency Contracts****: (0.40%) (30/06/14: (0.10%)) Maturity Date Counterparty Amount Bought Amount Sold Unrealised Gain/(Loss) % of 06/07/2015 Bank plc EUR 811,724 USD 905,269 (718) /07/2015 Bank plc EUR 482,856 USD 527,278 9, /07/2015 Bank plc EUR 270,833 USD 301, /07/2015 Bank plc EUR 102,159 USD 114,607 (697) /07/2015 Bank plc USD 1,167,228 EUR 1,042,356 5, /07/2015 Bank plc USD 921,458 EUR 815,523 11, /07/2015 Bank plc USD 927,042 EUR 822,156 9, /09/2015 Goldman Sachs EUR 4,008,897 USD 4,540,000 (61,373) (0.03) 17/09/2015 Goldman Sachs EUR 4,277,306 GBP 3,125,000 (126,463) (0.05) 17/09/2015 JP Morgan Chase EUR 4,006,546 USD 4,539,236 (63,040) (0.03) 17/09/2015 JP Morgan Chase EUR 4,263,129 GBP 3,118,257 (131,138) (0.06) 17/09/2015 Morgan Stanley EUR 4,280,271 GBP 3,125,000 (123,498) (0.05) 17/09/2015 Morgan Stanley EUR 4,011,494 USD 4,540,000 (58,777) (0.03) 17/09/2015 Westpac Banking Corporation EUR 4,000,634 USD 4,540,000 (69,636) (0.03) 17/09/2015 Westpac Banking Corporation EUR 4,272,219 GBP 3,125,000 (131,550) (0.06) 17/09/2015 Societe Generale EUR 4,012,196 USD 4,540,000 (58,075) (0.03) 17/09/2015 Societe Generale EUR 4,079,157 GBP 3,125,000 (124,612) (0.05) Unrealised gain on forward foreign exchange currency contracts 36, Unrealised loss on forward foreign exchange currency contracts (949,577) (0.42) Net unrealised loss on forward foreign exchange currency contracts (913,086) (0.40) Net Financial Derivative Instruments 92,100, Net Financial Assets at fair value through profit or loss 221,286, Other receivables (30/06/14: 0.27 %) 138, Cash held with broker for open futures contracts (30/06/14: 0.34%) 628, Cash held with broker for swap contracts 1,410, Cash and cash equivalents (30/06/14: 3.26%) 8,405, Deposits with credit institutions (30/06/2014: 0.03%) 59, Other payables (30/06/14: (1.17%)) (431,392) (0.19) Net Assets Attributable to Redeemable Participating Shareholders 231,498, /06/ /06/ /06/2013 Net Assets Attributable to Redeemable Participating Shareholders 231,498, ,755, ,601,549 Number of Redeemable Participating Shares in Issue 1,832,107 1,895,063 2,000,894 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded over the counter OTC with the exception of open futures contracts which are exchange traded. 12

15 Fondo Doppio Passo Portfolio of Investments as at 30 June 2015 cont/d... Analysis of Gross Assets % of Gross Assets Transferable Securities and Money Market Instruments Collective Investment Schemes OTC Financial Derivative Instruments Exchange Traded Financial Derivative Instruments 0.00 Current Assets 4.55 The Counterparty for the Funded Swap is Bank plc. The Counterparties for the Unfunded Swaps are Bank plc and JP Morgan * The Collective Investment Schemes held by the meet the requirements of UCITS regulations. ** The Funded and Unfunded Swaps expose the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). *** Exchange Traded Financial Derivative Instruments. **** Over the counter (OTC) Financial Derivative Instruments. 13

16 Fondo Doppio Passo Portfolio of Investments as at 30 June 2014 Net Financial Assets at fair value through profit or loss: 97.27% (30/06/13: 97.11%) Money Market Instruments: 25.13% (30/06/13: 20.03%) CCY Principal Amount Description Maturity Date Fair value % of EUR 7,000, % France, Government of T-Bill 17/07/2014 7,000, EUR 11,000, % France, Government of T-Bill 24/07/ ,999, EUR 12,000, % France, Government of T-Bill 07/08/ ,999, EUR 10,000, % France, Government of T-Bill 21/08/2014 9,999, EUR 10,000, % France, Government of T-Bill 04/09/2014 9,999, EUR 10,000, % France, Government of T-Bill 18/09/2014 9,999, Money Market Instruments 59,998, Collective Investment Schemes*: 26.15% (30/06/13: 27.30%) CCY No. of Shares Description Fair value % of EUR 19,825,206 Institutional Cash Series plc - Institutional Euro Liquidity Fund 19,825, GBP 17,922,121 Institutional Cash Series plc - Institutional Sterling Liquidity Fund 22,381, USD 27,699,775 Institutional Cash Series plc - Institutional US Dollar Liquidity Fund 20,231, Collective Investment Schemes 62,438, Net Financial Derivative Instruments: 45.99% (30/06/13: 49.78%) Funded Swap**: 45.87% (30/06/13: 49.95%) CCY Notional Amount Description Maturity Date Fair value % of EUR 110,009,925 Fondo Doppio Passo ZCB Funded Swap 22/09/ ,516, Funded Swap at positive fair value 109,516, Unfunded Swap**: 0.02% (30/06/13: Nil) CCY Notional Amount Description Maturity Date Fair value % of USD 21,480,000 State Street-BRDG-Swap on BRGMTRUH Index 02/06/ , Unfunded Swap at positive fair value 47, Open Futures Contracts***: 0.20% (30/06/13: (0.05%)) No. of Contracts Description Counterparty Unrealised Gain % of German Euro BUND Futures Long Futures Contracts Expiring September , TOPIX Index Futures Long Futures Contracts Expiring September , Net unrealised gain on open futures contracts 478,

17 Fondo Doppio Passo Portfolio of Investments as at 30 June 2014 cont/d... Net Financial Assets at fair value through profit or loss: 97.27% (30/06/13: 97.11%) cont/d Net Financial Derivative Instruments: 45.99% (30/06/13: 49.78%) cont/d Open Forward Foreign Exchange Currency Contracts****: (0.10%) (30/06/13: (0.12%)) Maturity Date Counterparty Amount Bought Amount Sold Unrealised Gain/(Loss) % of 03/07/2014 Bank plc EUR 4,042 GBP 3,283 (59) (0.00) 03/07/2014 Bank plc EUR 614,583 USD 835,491 4, /07/2014 Bank plc USD 835,491 EUR 612,939 (2,715) (0.00) 17/09/2014 Bank plc EUR 4,375,323 GBP 3,565,000 (72,691) (0.03) 17/09/2014 Deutsche Bank AG London EUR 4,375,704 GBP 3,565,000 (72,310) (0.03) 17/09/2014 UBS AG London EUR 4,371,871 GBP 3,561,925 (72,306) (0.03) 17/09/2014 BNP Paribas SA EUR 4,369,546 GBP 3,560,000 (72,230) (0.03) 17/09/2014 Goldman Sachs International EUR 4,374,934 GBP 3,565,000 (73,080) (0.03) 17/09/2014 Deutsche Bank AG London EUR 4,070,758 USD 5,540,000 25, /09/2014 UBS AG London EUR 4,072,510 USD 5,542,316 25, /09/2014 Bank plc EUR 4,070,512 USD 5,540,000 25, /09/2014 BNP Paribas SA EUR 4,074,447 USD 5,545,000 25, /09/2014 Goldman Sachs International EUR 4,071,688 USD 5,540,000 26, Unrealised gain on forward foreign exchange currency contracts 133, Unrealised loss on forward foreign exchange currency contracts (365,391) (0.15) Net unrealised loss on forward foreign exchange currency contracts (232,075) (0.10) Net Financial Derivative Instruments 109,810, Net Financial Assets at fair value through profit or loss 232,247, Other receivables (30/06/13: 5.63%) 653, Cash held with broker for open futures contracts (30/06/13: 2.26%) 798, Cash and cash equivalents (30/06/13: 0.01%) 7,785, Deposits with credit institutions (30/06/13: 0.01%) 59, Other payables (30/06/13: (3.01%)) (2,789,924) (1.17) Net Assets Attributable to Redeemable Participating Shareholders 238,755, /06/ /06/ /06/2012 Net Assets Attributable to Redeemable Participating Shareholders 238,755, ,601, ,717,878 Number of Redeemable Participating Shares in Issue 1,895,063 2,000,894 2,154,498 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded Over the Counter ("OTC") with the exception of open futures contracts which are exchange traded. 15

18 Fondo Doppio Passo Portfolio of Investments as at 30 June 2014 cont/d... Analysis of Gross Assets % of Gross Assets Transferable Securities and Money Market Instruments Collective Investment Schemes OTC Financial Derivative Instruments Exchange Traded Financial Derivative Instruments 0.20 Current Assets 3.84 The Counterparty for the Funded Swap is Bank plc * The Collective Investment Schemes held by the meet the requirements of UCITS regulations. ** The Funded and Unfunded Swaps expose the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). *** Exchange Traded Financial Derivative Instruments. **** OTC Financial Derivative Instruments. 16

19 Dynamic Dynamic 70 Dynamic 80 Dynamic 90 Investment Manager s Report for the year ended 30 June 2015 Dynamic Investment Objective The investment objective of the is to provide a return linked to the performance of the Dynamic Global Index TM, which comprises a basket of well established market benchmark indices representative of a number of sectors and asset classes. Investment Strategy The will offer Shareholders exposure to the performance of the Index via an FDI ("Financial Derivative Instrument"). Dynamic 70 Investment Objective The investment objective of the is to provide a return linked to the performance of the Dynamic 70 Strategy, which comprises the Dynamic Global Index TM, a basket of well established market benchmark indices representative of a number of sectors, asset classes and cash. Additionally, the provides investment protection to at least 70% of the highest ever Net Asset Value per Share. Investment Strategy The will offer Shareholders exposure to the performance of the strategy via an FDI ("Financial Derivative Instrument"). Dynamic 80 Investment Objective The investment objective of the is to provide a return linked to the performance of the Dynamic 80 Strategy, which comprises the Dynamic Global Index TM, a basket of well established market benchmark indices representative of a number of sectors, asset classes and cash. Additionally, the provides investment protection to at least 80% of the highest ever Net Asset Value per Share. Investment Strategy The will offer Shareholders exposure to the performance of the strategy via an FDI. Dynamic 90 Investment Objective The investment objective of the is to provide a return linked to the performance of the Dynamic 90 Strategy, which comprises the Dynamic Global Index TM, a basket of well established market benchmark indices representative of a number of sectors, asset classes and cash. Additionally, the provides investment protection to at least 90% of the highest ever Net Asset Value per Share. Investment Strategy The will offer Shareholders exposure to the performance of the strategy via an FDI. Sources: All sources Capital unless indicated. 17

20 Dynamic Dynamic 70 Dynamic 80 Dynamic 90 Investment Manager s Report for the year ended 30 June 2015 cont/d... Cumulative Performance (as at 30 June 2015) (%) 1 Month 3 Months 6 Months 12 Months Since Inception Dynamic (4.49%) (4.40%) 0.15% 4.54% 55.84% Dynamic 70 (4.50%) (4.50%) (0.07%) 4.04% 26.56% Dynamic 80 (3.65%) (3.71%) (0.07%) 3.14% 14.75% Dynamic 90 (1.84%) (1.94%) (0.31%) 0.46% 6.99% NAV (GBP) High Low Latest At Inception Dynamic Dynamic Dynamic Dynamic The above performance figures are based on a tradable NAV per Share. The table below summarises the annual realised tracking error for Dynamic, as detailed in Note June 2015 Return Index return Tracking Error Expected Tracking Error* Fees Other** Dynamic 4.54% 5.99% (1.45%) (1.25%) (0.95%) (0.50%) 30 June 2014 Return Index return Tracking Error Expected Tracking Error* Fees Other** Dynamic 6.15% 7.26% (1.11%) (1.26%) (0.96%) (0.16%) * This is the tracking error expected by the Investment Manager based on the investment strategy of the. The differences noted between the actual tracking error of the and the expected tracking error is due to the other category detailed below. ** Other Includes all or some of the following: the effect of index fees charged to run the underlying index, the re-balancing effect of allocating assets to as close to 100% of the NAV as possible, the unfunded nature of the derivatives leading to additional performance from cash management assets, the tolerance used for foreign currency hedging of share classes versus base currency. 18

21 Dynamic Portfolio of Investments as at 30 June 2015 Net Financial Assets at fair value through profit or loss: 99.58% (30/06/14: 99.75%) Net Financial Derivative Instruments: 99.58% (30/06/14: 99.75%) Funded Swap*: 99.58% (30/06/14: 99.75%) CCY Notional Amount Description Maturity Date Fair value % of GBP 8,550,509 Dynamic Global Index GBP Swap 29/07/ ,409, Funded Swap at positive fair value 13,409, Net Financial Derivative Instruments 13,409, Net Financial Assets at fair value through profit or loss 13,409, Other receivables (30/06/14: 0.01%) 3, Cash and cash equivalents (30/06/14: 0.24%) 83, Other payables (30/06/14: Nil) (29,933) (0.22) Net Assets Attributable to Redeemable Participating Shareholders 13,466, /06/ /06/ /06/2013 Net Assets Attributable to Redeemable Participating Shareholders 13,466,182 15,898,842 16,329,030 Number of Redeemable Participating Shares in issue 8,641,022 10,665,286 11,627,421 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded over the counter (OTC). Analysis of Gross Assets % of Gross Assets OTC Financial Derivative Instruments Current Assets 0.64 The Counterparty for the Funded Swap is Bank plc * The Funded Swap exposes the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). 19

22 Dynamic Portfolio of Investments as at 30 June 2014 Net Financial Assets at fair value through profit or loss: 99.75% (30/06/13: 99.81%) Net Financial Derivative Instruments: 99.75% (30/06/13: 99.81%) Funded Swap*: 99.75% (30/06/13: 99.81%) CCY Notional Amount Description Maturity Date Fair value % of GBP 10,572,204 Dynamic Global Index GBP Swap 29/07/ ,859, Funded Swap at positive fair value 15,859, Net Financial Derivative Instruments 15,859, Net Financial Assets at fair value through profit or loss 15,859, Other receivables (30/06/13: Nil) 2, Cash and cash equivalents (30/06/13: 0.54%) 37, Other payables (30/06/13: (0.35%)) - - Net Assets Attributable to Redeemable Participating Shareholders 15,898, /06/ /06/ /06/2012 Net Assets Attributable to Redeemable Participating Shareholders 15,898,842 16,329,030 17,699,869 Number of Redeemable Participating Shares in issue 10,665,286 11,627,421 13,904,399 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded OTC. Analysis of Gross Assets % of Gross Assets OTC Financial Derivative Instruments Current Assets 0.25 The Counterparty for the Funded Swap is Bank plc * The Funded Swap exposes the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). 20

23 Dynamic 70 Portfolio of Investments as at 30 June 2015 Net Financial Assets at fair value through profit or loss: 99.02% (30/06/14: 99.36%) Net Financial Derivative Instruments: 99.02% (30/06/14: 99.36%) Funded Swap*: 99.02% (30/06/14: 99.36%) CCY Notional Amount Description Maturity Date Fair value % of GBP 9,711,823 Protected 70 Strategy GBP Swap 29/07/ ,342, Funded Swap at positive fair value 12,342, Net Financial Derivative Instruments 12,342, Net Financial Assets at fair value through profit or loss 12,342, Other receivables (30/06/14: 0.01%) 34, Cash and cash equivalents (30/06/14: 1.13%) 116, Other payables (30/06/14: (0.50%)) (28,534) (0.22) Net Assets Attributable to Redeemable Participating Shareholders 12,463, /06/ /06/ /06/2013 Net Assets Attributable to Redeemable Participating Shareholders 12,463,957 15,270,253 16,289,727 Number of Redeemable Participating Shares in issue 9,848,240 12,552,970 14,148,395 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded over the counter (OTC). Analysis of Gross Assets % of Gross Assets OTC Financial Derivative Instruments Current Assets 1.20 The Counterparty for the Funded Swap is Bank plc * The Funded Swap exposes the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). 21

24 Dynamic 70 Portfolio of Investments as at 30 June 2014 Net Financial Assets at fair value through profit or loss: 99.36% (30/06/13: 99.40%) Net Financial Derivative Instruments: 99.36% (30/06/13: 99.40%) Funded Swap*: 99.36% (30/06/13: 99.40%) CCY Notional Amount Description Maturity Date Fair value % of GBP 12,425,431 Protected 70 Strategy GBP Swap 29/07/ ,172, Funded Swap at positive fair value 15,172, Net Financial Derivative Instruments 15,172, Net Financial Assets at fair value through profit or loss 15,172, Other receivables (30/06/13: Nil) 1, Cash and cash equivalents (30/06/13: 0.66%) 172, Other payables (30/06/13: (0.06%)) (76,378) (0.50) Net Assets Attributable to Redeemable Participating Shareholders 15,270, /06/ /06/ /06/2012 Net Assets Attributable to Redeemable Participating Shareholders 15,270,253 16,289,727 18,294,039 Number of Redeemable Participating Shares in issue 12,552,970 14,148,395 17,569,413 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded OTC. Analysis of Gross Assets % of Gross Assets OTC Financial Derivative Instruments Current Assets 1.13 The Counterparty for the Funded Swap is Bank plc * The Funded Swap exposes the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). 22

25 Dynamic 80 Portfolio of Investments as at 30 June 2015 Net Financial Assets at fair value through profit or loss: 99.18% (30/06/14: 99.55%) Net Financial Derivative Instruments: 99.18% (30/06/14: 99.55%) Funded Swap*: 99.18% (30/06/14: 99.55%) CCY Notional Amount Description Maturity Date Fair value % of GBP 15,355,911 Protected 80 Strategy GBP Swap 29/07/ ,715, Funded Swap at positive fair value 17,715, Net Financial Derivative Instruments 17,715, Net Financial Assets at fair value through profit or loss 17,715, Other receivables (30/06/14: 0.05%) Cash and cash equivalents (30/06/14: 0.91%) 207, Other payables (30/06/14: (0.51%)) (61,964) (0.34) Net Assets Attributable to Redeemable Participating Shareholders 17,861, /06/ /06/ /06/2013 Net Assets Attributable to Redeemable Participating Shareholders 17,861,664 22,001,889 25,256,178 Number of Redeemable Participating Shares in issue 15,564,455 19,773,806 23,351,500 Net Asset Value per Redeemable Participating Share Classification Financial derivative instruments at fair value through profit or loss are traded over the counter (OTC). Analysis of Gross Assets % of Gross Assets OTC Financial Derivative Instruments Current Assets 1.16 The Counterparty for the Funded Swap is Bank plc * The Funded Swap exposes the to the performance of the Underlying (as defined by the Termsheet executed with the Approved Counterparty). 23